The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …

We analyze the relationship between uncertainty and economic growth expectations in Mexico through the Growth at Risk … measures of financial conditions, of economic policy uncertainty, and of risk exposure, as well as to alternative measurements …

the variance of monetary shocks has a negative effect on growth, while output volatility is good for growth as a positive …

of monetary shocks has a negative effect on growth, while output volatility is good for growth as a positive relationship …

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with … model a time-varying generalization of the HAR model for the realized volatility series. It emerges that during the recent … stochastic volatility model suggest that the change in the dynamic structure of the realized volatility during the financial …